Calculation of SPY hedge

B

bln

I would like to know the formula for calculating how many contracts of the ES future I need to be net long or net short to hedge a deep ITM SPY option.

Example:
If I'm long 10 contracts of SPY C 180831 275.0 how many ES I need to sell short.

The options are deep ITM and I need to hedge for 1-2 hours after friday close or over weekend until monday open.
 
275 call has a 100 Delta. You are long 10 that is 1000 Delta. Why not exit the SPY or short SPY stock which is a hedge and provides margin relief while ES does not. I would not use ES to hedge this.

I believe this to be true.
1000 SPY = 2 ES Futures
 
Robert Morse said:
275 call has a 100 Delta. You are long 10 that is 1000 Delta. Why not exit the SPY or short SPY stock which is a hedge and provides margin relief while ES does not. I would not use ES to hedge this.

I believe this to be true.
1000 SPY = 2 ES Futures
More...

Thank you. You are right, the nominal value of one ES contract equals 500 shares of SPY.

(ES * 50) = (SPY * 500)

It's done this why because the our kind politicians in the European Union has banned all EU citizens from trading the ETF/ETN products on US markets. Making our lives very difficult for nothing.
 
bln said:
Thank you. You are right, the nominal value of one ES contract equals 500 shares of SPY.

(ES * 50) = (SPY * 500)

It's done this why because the our kind politicians in the European Union has banned all EU citizens from trading the ETF/ETN products on US markets. Making our lives very difficult for nothing.
More...
Uh....box, anyone? Short an ATM call, buy an ATM put with 1:1 ratios for you ITM position (I know, not a true box....)...assuming we're talking a 1-delta position, of course. If you're dealing in multiples of 10, you can use the SPX to do the same and side-step assignment risk.

Or just sell...you'll have no trouble getting parity or slightly better on SPY.

And I suspect law changes have intervened since the position was opened, but to expand on what Bob said...why would you take American style options when you can exercise those American style rights??? And if the law changed, surely existing positions were grandfathered in?!
 
bln said:
It's done this why because the our kind politicians in the European Union has banned all EU citizens from trading the ETF/ETN products on US markets. Making our lives very difficult for nothing.
More...
Really? 1st I've heard of it.
 
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